Try disabling the firewall and see if that works.
I have Rekordbox 6.5 on a 2019 Macbook Pro i9 processor and 16gb RAM on Big Sur 11.2.1 This is connected to an XDJ-XZ with the new big Sur audio drivers installed.
I can connect to the XZ via USB cable in performance mode no issues. However when i connect via ethernet into a gigabit box which also has a cable from xz into it and one going to the router it will not give me the link option in export mode or performance mode.
Last time it did work was on 30th January when I live streamed. I connected up to my Macbook via the above ethernet set up so Prolink Tools could display the tracks i'm playing on the XZ in OBS to be broadcast. I have not moved that set up since.
Only thing that has changed is i've updated the Rekordbox big sur audio driver and rekordbox.
Is anyone else having this issue?
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Try disabling the firewall and see if that works.
Yes it is disabled 
check eth cables on players